Page 41 - CCFA Journal - Third Issue

风控大讲堂 Risk Management Forum
2.2 内部模型法
内部模型包括以下三个方面：
 期望损失和流动性展期 （ES + LH）
 不可建模风险因素 （NMRF）
 违约风险资本（DRC）
期望损失考虑到了现行的在险价值（VaR）存在的遗漏，
详见下图。它也对不同的风险因子赋予了不同的流动性展
期。例如，投资级的公司债流动性展期从 10 天上升到了
40 天。
对某些风险因素，可观测到的市场数据是有限的，产品的
市场流动性不足，交易平台不稳定。不可建模风险因素识
别了这些不适用于建模的风险因素。
违约风险资本是指与企业债券和股票违约风险相关的资本
要求。而且违约风险资本专门关注违约风险。它不把迁移
风险考虑进去，这是因为在期望损失中较长的流动性展期
已经把迁移风险包含了进去。
通过在交易层面批准内部模型法，巴塞尔 FRTB 加强了对
模型的审批流程。对交易层面的内部模型法必须通过两个
测试，即损益归因(PLA)和回测(BT)。
图 3： 在险价值和期望损失之间的对比
Figure 3: VaR and Expected Shortfall (ES) Comparison
三．FRTB 的影响
FRTB 的推出不仅将影响银行的风险权重资产及其产品开
发战略，还将影响其与数字化转型相关的IT基础设施。此
外，由于 FRTB 的资本要求，某些全球市场的交易流动性
不可避免地会受到影响。我们将在以下探讨这些。
3.1 FRTB 对风险权重资产的影响
根据 2017 年 12 月做的巴塞尔影响分析，与巴塞尔 2.5 框
架相比，修订后的 FRTB 框架预计会带来银行风险权重资
产的增长。如下表所示，中位数增长 16%，加权平均增长
22%。此外,对于只使用标准法的银行，中位数增长 40%，
加权平均增长 30%。与之相对比，使用内部模型法的银行，
中位数增长了 5%，加权平均增长 20%。
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2.2 Internal Model Approach (IMA)
Internal model approach includes three parts, i.e.,
 Expected shortfall with liquidity horizon (ES + LH)
 Non-modellable risk factor (NMRF)
 Default risk charge (DRC)
Expected shortfall captures tail risk that current VaR misses, see
illustration below. It also considers different trading liquidity
horizons for various risk factors. For example, credit spread risk
for investment grade corporate horizons goes to 40 days from
the current 10 days.
Non-modellable risk factor (NMRF) recognizes limited
observable market data for some risk factors which are deemed
not suitable for modelling.
Default risk capital (DRC) determines the capital requirement
associated with default risk for credit and equity. DRC also
focuses exclusively on default risk, while longer liquidity
horizons used in ES allow it to incorporate migration risk
already.
Basel FRTB enhances the model approval process by granting
IMA at the level of trading desks. A trading desk’s internal
model must pass two tests, i.e., profit and loss attribution (PLA)
and backtesting (BT).
3. FRTB Impact
FRTB rollout will not only impact the bank's RWA and its
strategy to product development, but also its IT infrastructure
linked to digitalization transformation. In addition, trading
liquidity of certain global markets will inevitably be impacted
due to FRTB capital requirement. We will discuss these
perspectives in the following sessions.
3.1 FRTB impact to RWA
Based on Basel impact analysis in December 2017, compared
with the Basel 2.5 framework, the amended FRTB framework
is estimated to result in a median increase of 16% and a
weighted average increase of 22% as shown in table below.
Furthermore, The expected impact on banks that exclusively
use the standardized approach is a 40% increase for the median
bank and a 30% increase on a weighted average basis, while the
expected impact on banks that use the internal models approach
is a 5% increase for the median bank and a 20% increase on a
weighted average basis.
DECEMBER 2020
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